基于多元阿基米德copula的篮子违约掉期定价的高效算法

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-06-04 DOI:10.2139/ssrn.1414111

G. Choe, Hyun Jin Jang

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引用次数: 20

摘要

利用可交换的阿基米德copula和嵌套的Gumbel copula，提出了一种新的一揽子违约互换定价的重要抽样方法。我们建立了比现有的投资组合信用风险关联模型更真实的依赖结构，并通过分析多元阿基米德关联模型提出了合适的重要抽样密度。为了证明所提出算法的效率和准确性，我们给出了数值例子，并将它们与粗略的蒙特卡罗模拟进行了比较，最后表明我们提出的估计产生了相当小的方差。

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Efficient Algorithms for Basket Default Swap Pricing with Multivariate Archimedean Copulas

We introduce a new importance sampling method for pricing basket default swaps employing exchangeable Archimedean copulas and nested Gumbel copulas. We establish more realistic dependence structures than existing copula models for credit risks in the underlying portfolio, and propose an appropriate density for importance sampling by analyzing multivariate Archimedean copulas. To justify efficiency and accuracy of the proposed algorithms, we present numerical examples and compare them with the crude Monte Carlo simulation, and finally show that our proposed estimators produce considerably smaller variances.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets